Tchatoka, Doko; Sabro, Firmin; Dufour, Jean-Marie - Volkswirtschaftliche Fakultät, … - 2008
the first setup, we show that both test procedures are in general consistent against the presence of invalid instruments … (hence asymptotically invalid for the hypothesis of interest), whether the instruments are “strong” or “weak”. We also … AR and K tests are asymptotically invalid. In the second setup, we find (non-degenerate) asymptotic non-central chi …